The voltage regulator on the Mega is short-circuit and over-temperature protected, so it's unlikely to have failed. Also if you can see the LCD menu and the functions work, then Vcc must be OK, unless you only get the LCD menu when you apply USB power. So it sounds to me that it is just the backlight on the LCD that is not working. Can you confirm this? Do you have a multimeter that you can use to measure the 5V rail when just 12V power is provided and the USB cable is disconnected?
12864 displays vary a lot and I suspect many of the ones sold on eBay are rejects, albeit ones that mostly work. Some include the backlight series resistor, but others do not. So you may have blown your 12864 backlight by connecting it directly to 5V without a series resistor. Alternatively, you might just have a bad connection to one of the backlight pins on the 12864. Use a multimeter to easure the voltage between the backlight connections at the side of the 12864 (these are typically marked A and K), to see if voltage is getting there.
Bear in mind that the backlight on a 12864 needs a lot of current (about 100mA AFAIR) and this will make the regulator on the Mega run warm or hot. You can avoid this by powering the LCD backlight from 12V via a series resistor instead of from 5V. 100 ohms rated at 1W will give you about 80mA backlight current.
12864 displays vary a lot and I suspect many of the ones sold on eBay are rejects, albeit ones that mostly work. Some include the backlight series resistor, but others do not. So you may have blown your 12864 backlight by connecting it directly to 5V without a series resistor. Alternatively, you might just have a bad connection to one of the backlight pins on the 12864. Use a multimeter to easure the voltage between the backlight connections at the side of the 12864 (these are typically marked A and K), to see if voltage is getting there.
Bear in mind that the backlight on a 12864 needs a lot of current (about 100mA AFAIR) and this will make the regulator on the Mega run warm or hot. You can avoid this by powering the LCD backlight from 12V via a series resistor instead of from 5V. 100 ohms rated at 1W will give you about 80mA backlight current.